Abstract
We investigate the limiting behaviour of M-estimators of parameters for a near unit root spatial autoregressive model Z ij (n)=α n Z i−1, j (n)+β n Z i, j−1(n)−α n β n Z i−1, j−1(n)+ε ij , 1≤i, j≤n. Innovations are assumed to be independent and identically distributed and in the domain of attraction of a stable law. We let α n =e c/n and β n =e d/n , where c and d are nonzero unknown constants. It is shown that the self-normalized M-estimators are asymptotically normal. A simulation study is also given.
AMS 2000 Subject Classification :
Acknowledgements
This paper is supported by the Natural Sciences and Engineering Research Council of Canada.